Brick does not insure safety during a tornado. Most brick homes built today are "brick veneer". They are a frame house with a layer of brick "veneered" to the outside walls. This type of construction is sturdier than a vinyl covered home, but only because of the impact resistance of the walls.
Years ago houses and buildings were constructed with true brick walls. These walls were 3 layers of brick offset, interlocking, and all the gaps were filled with mortar. This type of wall is not currently constructed due to cost. Even these walls can be dropped by a tornado. Our county seat was struck by a tornado in April of this year. Most of the buildings on the main street were constructed prior to WW1 and have true 3 layer thick brick walls. 3 buildings collapsed in the storm and 4 more have been condemned as unsafe for habitation. We were very lucky; there were no deaths and only a few minor injuries in our county.